Multi-Asset Portfolio Selection with Machine Learning: Long-Run International Evidence
Machine learning forecasts of equity, bond, bill and housing returns from 1870-2020 across 16 countries improve Sharpe ratios substantially when trained on pooled cross-country data rather than country-specific samples.
Featured in No. 135 on 16 Oct 2026 · 1 day after release
- Released
- 15 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7610204
- Authors
- Ray Friedenberger and Felix Reichenbach
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).